Generalized Chow Tests for Structural Change: A Coordinate-Free Approach

DOI10.2307/2526374zbMATH Open0507.62095OpenAlexW2038862187MaRDI QIDQ4745191FDOQ4745191

Authors: Jean-Marie Dufour 

Publication date: 1982

Published in: International Economic Review (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2526374

zbMATH Keywords

structural changecoordinate-free approachgeneralized likelihood testgeneralized Chow testsKullback-Rosenblatt testSt. Louis equationundersized subperiods

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Linear regression; mixed models (62J05) Applications of statistics to economics (62P20)

Cited In (3)

• Exact tests for structural change in first-order dynamic models
• Further results on projection-based inference in IV regressions with weak, collinear or missing instruments
• Are consumption-based intertemporal capital asset pricing models structural?

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